Which features are not supported when GPU rendering?
Unless I misunderstand what you are looking for, the Blender manual seems to have a pretty thorough list of supported features per device.

As of current Blender 2.78, this list includes all supported computing hardware types, like CPU, GPU, OpenCL, or CUDA; and the available , experimental, and unsupported features for each of them, like motion blur, hair, volume, smoke/fire, subsurface scattering (SSS), Open Shading Language (OSL), CMJ Sampling, Branched Path integrator, and displacement subdivision.